Description Usage Arguments References See Also Examples
The function uses a binary tree to price European options, and finally draws a binary tree and the price of return options.
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S |
Current stock price, default value is 41 |
K |
Execution price, default value is 40 |
sigma |
Volatility of stock price, default value is 0.3 |
r |
Risk-free interest rate, default value is 0.2 |
T |
Option maturity, default value is 1 |
dividend |
Compound dividend rate, default value is 0, that is, no dividend. |
l |
The default length of each period in a binary tree is 1/3, that is, the default duration of a binary tree is 3 periods. |
OTS package, WangXu seniorwangxu@sina.com
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